Informed trading, market efficiency and volatility

DOI10.1016/J.ECONLET.2016.10.015zbMATH Open1490.62326OpenAlexW2532599977MaRDI QIDQ1668632FDOQ1668632

Authors: Ming-Chien Sung, Johnnie E. V. Johnson, David C. J. McDonald 

Publication date: 29 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/401433/1/volatility%2520efficiency%2520paper110816.docx

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zbMATH Keywords

efficiencyvolatilityinformed trading

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)

Cited In (10)

• The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets
• Informed Trading and Portfolio Returns
• Profitable informed trading in a simple general equilibrium model of asset pricing
• What is the value of knowing uninformed trades?
• Dampening effect and market efficiency
• Partially informed noise traders
• Estimating the Proportion of Informed Traders in BTC-USD Market Using Spread and Range
• Call market book information and efficiency
• Informativeness of trade size in foreign exchange markets
• Private Information and High-Frequency Stochastic Volatility

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